Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0011
Annualized Std Dev 0.1176
Annualized Sharpe (Rf=0%) -0.0094

Row

Daily Return Statistics

Close
Observations 5588.0000
NAs 1.0000
Minimum -0.0860
Quartile 1 -0.0036
Median 0.0000
Arithmetic Mean 0.0000
Geometric Mean 0.0000
Quartile 3 0.0038
Maximum 0.0835
SE Mean 0.0001
LCL Mean (0.95) -0.0002
UCL Mean (0.95) 0.0002
Variance 0.0001
Stdev 0.0074
Skewness -0.3839
Kurtosis 14.6443

Downside Risk

Close
Semi Deviation 0.0053
Gain Deviation 0.0053
Loss Deviation 0.0058
Downside Deviation (MAR=210%) 0.0108
Downside Deviation (Rf=0%) 0.0053
Downside Deviation (0%) 0.0053
Maximum Drawdown 0.3118
Historical VaR (95%) -0.0106
Historical ES (95%) -0.0174
Modified VaR (95%) -0.0108
Modified ES (95%) -0.0148
From Trough To Depth Length To Trough Recovery
1999-01-05 2008-12-11 2021-02-11 -0.3118 5563 2501 3062
2021-02-12 2021-03-08 NA -0.0669 26 16 NA

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
1999 1.6 0 0 -0.8 0.4 0.4 -0.4 0 0.4 0.5 -0.5 1 2.7
2000 0.5 0 0.5 1.4 1.4 0.5 -0.9 0 0.5 -0.4 0.4 -0.9 2.9
2001 -0.1 1 0.4 -0.4 1 1.7 -0.5 0 -0.4 0.4 -0.1 0.4 3.4
2002 0.4 -0.4 0.1 -0.1 0.6 0.6 0.6 0.4 -0.3 0.1 -0.2 0.7 2.6
2003 0.8 0.4 -0.5 -0.1 0.1 0.1 -0.3 0.4 0.8 -0.5 -0.3 0 0.9
2004 0.6 0.5 0 1.2 -1.4 1.3 0.5 -0.3 -0.2 -0.8 -0.3 0.2 1.3
2005 -0.4 -0.3 0.6 -0.1 0.5 -0.1 0.3 0.1 0.1 -0.7 -0.2 0.5 0.3
2006 -0.7 0.1 -1 -0.2 -0.1 0.5 1 0.7 -0.5 -0.4 0.4 0.6 0.4
2007 0.1 -0.3 -0.1 -0.6 -0.1 -0.2 -0.2 0.2 -0.4 -0.2 1.9 0.4 0.4
2008 0.4 -1.3 0.4 -0.1 0.4 0.1 0.5 0.1 2.6 -0.7 0.6 2.6 5.8
2009 0 -0.7 1.8 1.2 -0.1 -0.3 0.1 0.9 -0.5 -0.7 0.7 -0.4 2
2010 0.8 0.1 0.4 0.1 -0.8 0.1 1.3 -0.1 -0.1 0.4 -0.2 1.9 3.9
2011 -0.2 -0.1 0.7 0.5 1.2 0.2 0.5 0.1 -0.8 0.8 0.4 0.3 3.7
2012 0.1 1 -0.7 0 0.5 -0.1 0.8 -0.3 0.7 1.7 1 0.4 5.2
2013 -0.3 0.6 0.5 0.1 -0.7 0.8 -1.2 0.2 -0.6 -0.6 -0.3 -0.1 -1.7
2014 0.3 0.2 -0.3 1.1 -0.1 -0.1 0.4 0.2 0.2 0.2 0.2 0.3 2.4
2015 0.4 1.2 0.6 -0.9 -0.4 0.4 0.5 0 0 0.4 -0.2 -0.5 1.3
2016 0.7 -0.6 0.1 0.8 1.3 0.1 -0.5 1.1 0.2 -0.2 -1 0.7 2.8
2017 0.2 -0.7 0.1 -0.2 0.2 0.1 0.2 -0.1 0 0.5 -0.4 0 -0.2
2018 -0.1 0.6 -0.1 -0.1 0 0.3 -1 0.4 -0.5 -0.2 -1.2 -0.6 -2.6
2019 0 -0.2 -0.5 0.5 0.4 -0.3 0.1 0.7 -0.3 -1 0.9 0.9 1.1
2020 0.3 -1.8 -2.5 0.7 0.1 0.4 0.6 -1.6 1.5 -0.1 -0.3 1.5 -1
2021 1 -0.8 0.9 NA NA NA NA NA NA NA NA NA 1.2

Row

Price Chart

Row

Rolling Performance Chart

Row

Snail Trail Chart